First of all you put some glue on the rim of the tea light, and glue a nice big chunk of cotton on it

I bought several lights, because they are dirt cheap, and you can make several markers in one go

Next step is spray painting. The cotton itself is very fragile, but I found that after painting, the cotton really sticks, and can be handled quite well. Now you don't need much paint, all you are looking for is a nice smokey tone. If you are playing orcs, than black smoke might suit you better ;)

Remember to spray paint in a well ventilated room, or better to do it outside. We don't want to inhale no toxic fumes

After that, let the paint dry for ten minutes and you're done. All in all it shouldn't take more then 15 minutes to build a few. Here's the result.